A robust Beveridge–Nelson decomposition using a score-driven approach with an application

F. Blasques, Janneke van Brummelen, P. Gorgi and Siem Jan Koopman

Economics Letters, 2024, vol. 236, issue C

Abstract: The equivalence of the Beveridge–Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also provide a natural extension towards heavy-tailed distributions for the disturbances which lead to a robust version of the Beveridge–Nelson decomposition.

Keywords: Trend and cycle; Filtering; Autoregressive integrated moving average model; Score-driven model; Heavy-tailed distributions (search for similar items in EconPapers)
JEL-codes: C22 E32 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: A robust Beveridge-Nelson decomposition using a score-driven approach with an application (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000715

DOI: 10.1016/j.econlet.2024.111588

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